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q-fin.PR2013★ 1 cited
Variance optimal hedging for continuous time additive processes and applications
Stéphane Goutte, Nadia Oudjane, Francesco Russo
For a large class of vanilla contingent claims, we establish an explicit Föllmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows t…
q-fin.PR2012
Optimization problem and mean variance hedging on defaultable claims
Stephane Goutte, Armand Ngoupeyou
We study the pricing and the hedging of claim ψ which depends on the default times of two firms A and B. In fact, we assume that, in the market, we can not buy or sell any defaulta…